Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0862 |
| Annualized Std Dev | 0.3319 |
| Annualized Sharpe (Rf=0%) | -0.2598 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3499.0000 |
| NAs | 1.0000 |
| Minimum | -0.2308 |
| Quartile 1 | -0.0070 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0075 |
| Maximum | 0.3455 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0004 |
| Stdev | 0.0209 |
| Skewness | 0.4697 |
| Kurtosis | 44.0282 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0151 |
| Gain Deviation | 0.0169 |
| Loss Deviation | 0.0183 |
| Downside Deviation (MAR=210%) | 0.0192 |
| Downside Deviation (Rf=0%) | 0.0151 |
| Downside Deviation (0%) | 0.0151 |
| Maximum Drawdown | 0.8925 |
| Historical VaR (95%) | -0.0258 |
| Historical ES (95%) | -0.0503 |
| Modified VaR (95%) | -0.0131 |
| Modified ES (95%) | -0.0131 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-04 | 2009-03-09 | NA | -0.8925 | 3495 | 465 | NA |
| 2007-04-30 | 2007-04-30 | 2007-05-01 | -0.0010 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | 0.6 | 0 | 0.2 | -1.8 | 3.8 | 2.8 | -1.6 | 5 | 0 | 9 |
| 2008 | 2.1 | -2.9 | 3.7 | 2.2 | 0 | 0.6 | 3 | 0.3 | 1.8 | 2.8 | -2.8 | 5.3 | 17.1 |
| 2009 | -3.8 | 0 | 1.4 | 1 | 4.1 | 1.3 | 0.7 | -1.7 | -2.4 | -4.5 | 1.2 | -0.6 | -3.6 |
| 2010 | 2.2 | 2.6 | 0.2 | -2.1 | -2.1 | 0.6 | 1.1 | 2 | 1.2 | 1.3 | 2.1 | 0.1 | 9.4 |
| 2011 | 0.6 | -1.1 | 0.4 | 0.1 | -1.1 | 1.1 | 0.8 | -0.9 | -2.9 | -3 | -0.2 | 0.2 | -5.9 |
| 2012 | 1.5 | 1.2 | 0.5 | 0.8 | -1.8 | 2.6 | -0.5 | 1.3 | 0.7 | 1.8 | 0.8 | 1.8 | 11.1 |
| 2013 | 0.9 | 1 | -0.4 | -0.2 | -4.2 | 1.7 | 0.7 | 0.9 | 0.7 | 0.1 | 0.6 | 0.6 | 2.3 |
| 2014 | -0.4 | 0.7 | 1.3 | 0.6 | 0.1 | 0.4 | 0.7 | 0.1 | -0.1 | 1 | -0.7 | 5.3 | 9.1 |
| 2015 | -1.5 | 0.9 | 0.6 | 0.9 | 0.1 | 1.4 | 1 | -0.9 | 0.5 | 1.8 | 1 | -0.3 | 5.6 |
| 2016 | 1.6 | 2.4 | 0 | 0 | 0 | 0.9 | -1 | -0.2 | 0.2 | -1.1 | -0.4 | 0.8 | 3.1 |
| 2017 | 0.6 | 0.7 | 0.5 | 0.2 | 0.5 | 0.8 | 0.2 | 0.5 | 1.7 | 0.9 | 0.8 | 2.3 | 9.9 |
| 2018 | -0.3 | -1.1 | 0.8 | 0.2 | 0 | 0.5 | 0 | 0.3 | 1.7 | 1.3 | -0.7 | 0 | 2.6 |
| 2019 | 0.2 | 0.5 | 0.3 | 0.2 | -0.8 | 0.5 | -1 | -0.2 | -1 | 0.3 | 0.3 | 0.3 | -0.3 |
| 2020 | -1.5 | -3.8 | -6.1 | -1.4 | 3.1 | 2.1 | -0.4 | -0.2 | 2.2 | -1.1 | 1 | 0 | -6.4 |
| 2021 | 1.1 | 1.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-26 20.0 SPY 150. 0.0011 0.0164 0.0475 0.0519 0.148 0.309 0.368 GLD 66.9 -0.015 -0.0098
2 2007-04-27 20.0 SPY 150. -0.0008 0.0061 0.0544 0.0518 0.147 0.309 0.366 GLD 67.6 0.0103 -0.0166
3 2007-04-30 20.0 SPY 148. -0.0083 0.0016 0.0445 0.0439 0.132 0.297 0.381 GLD 67.1 -0.007 -0.0171
4 2007-05-01 20.1 SPY 149. 0.0026 0.0037 0.047 0.0412 0.131 0.318 0.391 GLD 66.7 -0.006 -0.0154
5 2007-05-02 20.3 SPY 150. 0.0059 0.0004 0.0519 0.0403 0.147 0.337 0.386 GLD 66.7 -0.0004 -0.0181
6 2007-05-03 20.5 SPY 150. 0.0054 0.0047 0.0463 0.0397 0.144 0.355 0.377 GLD 67.5 0.0125 0.00930
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
